In this example, the top layer (c30,m100) is set to Multiply Mode and it's combining with all the colors from the two layers below, both of which are set to Normal. The c30,m100 layer is creating a c30,m100,y100 color where it overlaps the yellow and it's creating a c80,m100 color where it overlaps the c50,m50 color of the layer below the yellow. The c30,m100 layer is affecting the color of two separate layers. If the c30,m100 layer is merged down with the yellow layer, the c80,m100 color disappears and goes back to c30,m100.

The layer dropping down takes on the color mode of the layer below. In this case Normal. If it stayed in Multiply Mode you would end up with a very different image.

A layer can't have two kinds of Combine Modes. If you created a single layer that is to affect two separate layers, you'll need to make a selection of the colors affecting the cone (the cone shadow), cut it and paste it into a new layer. Set that new layer to Multiply. If you want it merged with the color it is affecting place that layer directly above and merge.

@AnitTheFlea Is the target layer 100% opaque? This may be happening because that pink is partially transparent.
When this happens to me what I usually do (a quick shoddy fix) is to create a mask from the target layer transparency. Fill it with any color in a new layer and get rid of the mask already. Then duplicate this layer a bunch of times so it gets full opacity and combine those. This gives me a (a bit rough edged) full opaque mask of the target layer. I fill it with the background color and put it below the target layer. Combining those preserves the original colors in the target layer making it fully opaque. Then I can apply the multiply one.

EDIT:(Obviously any transparencies in the target layer are lost, but I normally don't care)